A laboratory test was conducted to investigate the effect of the freeze-thaw action of liquid nitrogen on the pore structure and permeability of coal rock. First, coal rock samples with similar sound velocities and permeabilities were selected. These samples were prepared in different water saturation levels and subjected to nuclear magnetic resonance (NMR) test before and after the freeze-thaw action. Furthermore, the freeze-thaw cycle of liquid nitrogen, freezing time, and water saturation of coal rocks were controlled in permeability test. Results showed that the pore diameter, porosity, and permeability of the coal rocks increase after the freeze-thaw action of liquid nitrogen. These characteristics increase further with the increase of water saturation. The fracturing mechanisms of the freeze-thaw action of liquid nitrogen were summarized in two aspects, phase change of pore water and cold shock, and cold shock was mainly discussed. The results indicate that the effect of cold shock is still crucial at low water saturation, but it is limited by the degree of temperature drop. In general, freeze-thaw action of liquid nitrogen can cause damage to pore structure, promote the formation of fracture networks, and consequently improve the permeability of coal rock.